Can of worms: open.
To me ultimately it all comes down to ego. It can't simply or entirely be about the dread of annihilation, of non-being, since we all have that for several hours every single day (or rather night, usually) when we're not dreaming, a period when from the subjective point of view we simply don't exist. It has to reduce to egotism of a form, as I see it. While we're alive, unless we're in a coma or something similar, we can affect the world and the things in it. We can have an impact upon the world and that includes other beings. When we act or even merely speak we have an effect upon the stuff of the world; even if nobody takes any notice of what we say, we have been heard and that in itself is a change in the state of the world. Death takes us out of that once and for all and for ever. To be alive is to be able to do, at least potentially; to be dead is never able to do anything at all ever again. So the ego concocts a way in which it can continue, where it can go on even though there's nothing to support it - Freud said that in the unconscious we are all convinced of our immortality, because we can't apprehend a world without us and our ability to act in it.
